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High Order Fragmentation in BOs
We are seeing significantly more order fragmentation in BOs.
If an MIS order breaks up into 10 trades, the equivalent BO breaks up into 20+ sub-orders (with 40+ triggers correspondingly) and further trade breakups.
We are observing this across segments - CM, CDS.
This is resulting in massive slippages. A take-profit squareoff eventually ends up with a negative M2M! Attractiveness of BO is fading...
Can you pls explain why this is happening? Is there something that can be done from the algo side to reduce this?
MIS vs BO
We (Zerodha or OMS) have no control over execution or filling of bracket orders.
Depending on the availability of bid and ask at the exchange execution happens. If your order is filled with 20 trades then there will be 40 second leg orders.
If you are not satisfied with the bracket order provided by us, you can build your own implementation of the same. The only thing with this is you won't be getting margin benefits.
Thanks for the quick reply
. Will take a call on building our own BO after some more experiments.